UTILITY-OPTIMAL STOPPING IN A DENUMERABLE MARKOV CHAIN | Zendy

Yoshinobu Kadota | Zendy; Masami Kurano | Zendy; Masami Yasuda | Zendy

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UTILITY-OPTIMAL STOPPING IN A DENUMERABLE MARKOV CHAIN

Author(s) -

Yoshinobu Kadota,

Masami Kurano,

Masami Yasuda

Publication year - 1996

Publication title -

bulletin of informatics and cybernetics

Language(s) - English

Resource type - Journals

eISSN - 2435-743X

pISSN - 0286-522X

DOI - 10.5109/13451

Subject(s) - markov chain , optimal stopping , mathematics , countable set , markov chain mixing time , statistics , combinatorics , markov model , mathematical optimization , computer science , markov property

This paper is concerned with a general utility of the optimal stopping problem for denumerable Markov chains. The validity of the one-step look ahead (OLA) stopping time is shown under a general utility criteria. It is developed from the view points of the optimality and a "riskaverse" or "riskseeking" characterization. The results are applied to the case of a exponential utility function and illustrated by a simple example.

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